The Market Structure of Dealer-to-Client Interest Rate Swaps

2020 ◽  
Author(s):  
Mohammadreza Bolandnazar
Keyword(s):  
Interest Rate ◽  
Market Structure ◽  
Interest Rate Swaps

Search Costs, Market Structure and Interest Rate Dispersion

2005 ◽  
Author(s):  
Alfredo Martin Oliver ◽  
Jesus Saurina Salas ◽  
Vicente Salas-Fumás
Keyword(s):  
Interest Rate ◽  
Market Structure ◽  
Search Costs

Why are Firms Using Interest Rate Swaps to Time the Yield Curve?

2006 ◽  
Author(s):  
Michael W. Faulkender ◽  
Sergey Chernenko
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Interest Rate Swaps

The Market Reaction to the Strategic Use of Interest Rate Swaps

2007 ◽  
Author(s):  
Michael W. Faulkender ◽  
Nicole Thorne Jenkins ◽  
Chandra Seethamraju
Keyword(s):  
Interest Rate ◽  
Market Reaction ◽  
Interest Rate Swaps

scholarly journals Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 112
Author(s):  
Dariusz Gatarek ◽  
Juliusz Jabłecki
Keyword(s):  
Interest Rate ◽  
One Dimensional ◽  
Classic Result ◽  
Implementation Techniques ◽  
Interest Rate Swaps ◽  
Exercise Boundary ◽  
Bermudan Swaptions ◽  
Main Ideas ◽  
Multidimensional Process ◽  
Theoretical Side

Bermudan swaptions are options on interest rate swaps which can be exercised on one or more dates before the final maturity of the swap. Because the exercise boundary between the continuation area and stopping area is inherently complex and multi-dimensional for interest rate products, there is an inherent “tug of war” between the pursuit of calibration and pricing precision, tractability, and implementation efficiency. After reviewing the main ideas and implementation techniques underlying both single- and multi-factor models, we offer our own approach based on dimension reduction via Markovian projection. Specifically, on the theoretical side, we provide a reinterpretation and extension of the classic result due to Gyöngy which covers non-probabilistic, discounted, distributions relevant in option pricing. Thus, we show that for purposes of swaption pricing, a potentially complex and multidimensional process for the underlying swap rate can be collapsed to a one-dimensional one. The empirical contribution of the paper consists in demonstrating that even though we only match the marginal distributions of the two processes, Bermudan swaptions prices calculated using such an approach appear well-behaved and closely aligned to counterparts from more sophisticated models.

Pricing Interest Rate Swaps in Malaysia

2004 ◽  
Vol 07 (04) ◽  
pp. 493-507 ◽  
Author(s):  
Dick Davies ◽  
David Hillier ◽  
Andrew Marshall ◽  
King Fui Cheah
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Capital Controls ◽  
Sample Period ◽  
Kuala Lumpur ◽  
Empirical Results ◽  
Illiquid Markets ◽  
Interest Rate Swaps ◽  
Derivative Markets

This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002. As far as we are aware no previous paper has considered pricing swaps in a less established derivative markets. Our empirical results indicate significant and persistent differences between the theoretical implied price and the actual reset price for both swaps over the sample period. This finding has implications for traders and banks in pricing swaps in Malaysia and more generally for pricing swaps in less established or illiquid markets or where capital controls have been introduced.

Market structure and microstructure, in international interest rate futures markets

2010 ◽  
Vol 24 (3) ◽  
pp. 253-266 ◽  
Author(s):  
Frank McGroarty ◽  
Owain ap Gwilym ◽  
Steve Thomas
Keyword(s):  
Interest Rate ◽  
Market Structure ◽  
Futures Markets ◽  
Interest Rate Futures ◽  
Structure And Microstructure

scholarly journals Market Structure, Macroeconomic Shocks, and Banking Risk in Kenya

2016 ◽  
Vol 1 (2) ◽  
pp. 81-113
Author(s):  
Nderitu Kingori
Keyword(s):  
Growth Rate ◽  
Interest Rate ◽  
Market Structure ◽  
Interest Rate Risk ◽  
Risk Exposure ◽  
Economic Shocks ◽  
Macroeconomic Shocks ◽  
Net Interest Margin ◽  
The Interest Rate ◽  
Loan Growth

This paper investigates the effect of changing market structure and macroeconomic shocks on the borrowing and lending risk exposure of Kenyan commercial banks using a GMM estimation approach. Borrowing risk exposure was found not to be persistent, being mainly affected by the degree of concentration and external economic shocks. Interestingly, the results also suggest that changes in the short-term interest rate do not affect the net interest margin, which may imply that bank deposit and lending rates are rigid and that the interest rate channel may be ineffective. The lending risk exposure was found to be persistent, and it was affected by the degree of concentration, internal economic shocks, and external economic shocks. The positive relationship between degree of concentration as well as borrowing and lending risk exposure supports the concentration-fragility view, as the declining franchise value did not lower incentives for making good loans during the study period where the degree of concentration was on a downward trend. Further analysis of the factors contributing to the persistence of lending risk exposure using a PVAR model found that the banks' loan growth rate and the market interest rate were key determinants. The effect of the loan growth rate was about double the effect of interest rate risk, implying that risk taking by some of the medium-sized and small banks is the key determinant of the persistence of lending risk exposure.

scholarly journals The role of interest rate swaps in financial institutions

1988 ◽  
Author(s):  
David Olaf Vang
Keyword(s):  
Interest Rate ◽  
Financial Institutions ◽  
Interest Rate Swaps

Interest Rate Swaps

2013 ◽  
Keyword(s):  
Interest Rate ◽  
Interest Rate Swaps
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